Best way I can find is create a hill at the height you want & put impassable terrain on it then surround it with buildings.
Your HQ is placed there in the example.

Multi hex buildings do not work past deploy stage, building 12,16 is the minimum size. Has squads in all exterior hexes.
Putting a hill under the interior hex raises all adjacent building hexes but it does not save even if its the last map action done.
i.e. place level 4 hill gives level 35 buildings surrounding.

May want to turn smoke on to test the HQs view there are a few fires.

Impassable terrain in roads raised to level 3 or 4 using * key is meant to represent fallen heavy rubble, vehicles cannot enter & infantry need to be on to see over & get cover.
Simple adjustment to urban maps changing LOS & denying areas to vehicles unless they want to risk crashing through buildings.

I also experimented with it long time ago.
You can actually use multi-hex buildings, but only those that have empty space in the middle. That's where you put the hill (using * key) and put the impassable/rough on its cap.

Smokes, lower buildings, lower terrain elevations, and trees, all can be overcome when climbing such high rise buildings. I have tested it in two PBEM with these buildings.